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A closed-form formula for the conditional expectationof the extended CIR process |
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| รหัสดีโอไอ | |
| Creator | 1. Nopporn Thamrongrat 2. Sanae Rujivan |
| Title | A closed-form formula for the conditional expectationof the extended CIR process |
| Publisher | Research and Development Office, Prince of Songkla University |
| Publication Year | 2563 |
| Journal Title | Songklanakarin Journal of Science and Technology |
| Journal Vol. | 42 |
| Journal No. | 2 |
| Page no. | 424-429 |
| Keyword | extended CIR process, conditional expectation, closed-form formula |
| URL Website | https://rdo.psu.ac.th/sjstweb/index.php |
| ISSN | 0125-3395 |
| Abstract | This paper is an extension to a recent paper by Rujivan (2016), in which we derive a closed-form formula for theconditional expectation of the valuation process, defined by? ?? ? ? ?? ?,:? ? ? ?? ? ?T st tr s ds r u du Tt T T stV e f v h v e dsfor0 , ? ?t Twheret vis assumed to follow the extended Cox-Ingersoll-Ross process, for ? ?1 f v v? ?and? ?2 h v v? ?for any1 2 ? ? ? , R, and any integrable functionr . Our newly-derived formula can be used to price a contingent claim? f r h , , ?in which? ?,tf v r t? ?,andh v? t?fort T ??0, ?represent, respectively, a terminal payoff, an interest rate process, and a payoff rate process |
